Group for Research in Decision Analysis

Optimization based risk measures

Mélina Mailhot Assistant professor, Department of Mathematics and Statistics, Concordia University, Canada

Mélina Mailhot

Risk measures arise as a natural representation of one's preference towards risky scenarios. All insurable risks, such as natural disasters, need to be assessed by means of risk measures. In health science, risk measures are used for protocol developments. Several risk measures and applications will be presented. The focus will be brought to those which can be solve with optimization functions. Univariate and multivariate contexts will be considered.

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